1.6.9 Income return

Income return, or dividend or cash yield, measures the income received in relation to the initial value of the asset. The index-level income return is calculated as the weighted average using the index weight of each constituent. Outlier returns of over 200% are usually due to one-off payouts and are filtered out from this computation.

where:

 denotes an index-constituent coupon/dividend payment in the quarter between times t and t-1 expressed in reporting currency
denotes constituent i's fair value estimate at time t-1 expressed in reporting currency
 denotes the weight of constituent i at time t-1.

In order to show the cash yield trends, 5 and 10 year moving averages of the Index income return are computed.

This is an input to the computation of cash returns contribution